Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 10 is Best) 9 9 9
Score 5.1 5.52 6.37
Market Cap (Millions USD) 371.13 363.25 351.47
Predicted Beta 1.25 1.24 1.22
Idiosyncratic Volatility 1.67 1.69 1.67

Annualized return and volatility

XNTK
Annualized Return 0.0481
Annualized Std Dev 0.2641
Annualized Sharpe (Rf=0%) 0.1820

Row

Daily Return Statistics

XNTK
Observations 4920.0000
NAs 194.0000
Minimum -0.1114
Quartile 1 -0.0068
Median 0.0007
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0077
Maximum 0.1646
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0008
Variance 0.0003
Stdev 0.0166
Skewness 0.3979
Kurtosis 7.0664

Downside Risk

XNTK
Semi Deviation 0.0117
Gain Deviation 0.0125
Loss Deviation 0.0122
Downside Deviation (MAR=210%) 0.0162
Downside Deviation (Rf=0%) 0.0115
Downside Deviation (0%) 0.0115
Maximum Drawdown 0.7626
Historical VaR (95%) -0.0268
Historical ES (95%) -0.0389
Modified VaR (95%) -0.0227
Modified ES (95%) -0.0236
From Trough To Depth Length To Trough Recovery
2000-10-24 2002-10-07 2014-01-15 -0.7626 3383 496 2887
2018-06-15 2018-12-24 2019-04-23 -0.2729 218 136 82
2015-12-02 2016-02-09 2016-07-20 -0.2147 161 48 113
2019-05-06 2019-06-03 2019-07-15 -0.1369 50 21 29
2015-08-06 2015-08-25 2015-10-23 -0.1182 56 14 42

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec XNTK
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA NA NA NA -0.4 1.8 0.0 1.4
2001 0.7 1.0 0.0 1.6 2.1 0.0 2.7 0.0 -1.4 2.0 0.0 0.0 9.0
2002 -1.6 4.2 1.5 -1.6 0.0 -4.4 -2.9 0.0 3.4 0.0 0.0 0.0 -1.6
2003 0.0 0.0 -0.5 -0.2 0.0 -0.6 -0.7 0.0 1.3 0.0 1.4 0.0 0.8
2004 0.0 1.4 1.7 0.0 -0.5 -2.0 0.0 0.6 3.2 0.6 1.4 0.0 6.4
2005 0.1 1.0 -0.9 0.0 0.8 0.1 -0.1 -0.1 0.0 -0.3 1.8 0.0 2.3
2006 0.2 1.8 0.0 -0.4 2.1 0.0 -1.9 -0.1 0.0 -1.6 -1.5 0.0 -1.5
2007 0.4 -0.7 0.0 0.4 0.1 0.0 0.9 0.0 1.4 -2.1 0.0 0.0 0.4
2008 2.9 0.0 3.7 2.6 0.0 -0.1 -0.1 0.0 -0.2 0.0 -6.5 0.0 2.0
2009 0.0 0.0 2.5 0.6 3.9 0.3 0.0 -1.9 -2.8 0.0 1.6 0.0 4.1
2010 1.8 1.8 -0.3 0.0 -1.4 0.0 0.0 3.3 -0.2 -0.4 1.9 0.0 6.7
2011 2.1 -1.8 0.1 0.0 -2.1 1.4 -0.5 -1.0 0.0 -2.3 1.0 0.0 -3.2
2012 2.4 0.3 0.0 0.9 -3.2 0.0 -0.4 0.0 -0.5 1.7 0.0 0.0 1.0
2013 1.1 0.5 -0.6 -0.8 0.0 0.6 1.2 0.0 0.5 -0.2 0.0 0.0 2.3
2014 0.0 0.0 1.4 0.2 0.0 1.2 -0.4 0.0 -1.9 0.0 -0.9 0.0 -0.5
2015 0.0 0.0 -0.8 0.6 0.6 0.3 0.0 -3.4 0.5 0.0 1.2 0.0 -1.1
2016 0.8 2.1 0.4 0.0 -0.1 0.4 0.1 0.2 0.0 -0.7 -3.0 0.0 0.1
2017 -0.1 0.6 0.0 0.9 1.0 0.0 0.3 0.5 0.0 -0.2 -0.6 0.0 2.3
2018 -0.9 -1.6 0.0 0.9 2.0 0.0 0.0 0.0 0.6 2.4 0.0 0.0 3.3
2019 0.2 0.4 1.9 -0.5 0.0 1.8 -1.1 0.0 -0.7 0.9 0.0 0.1 3.0

Row

Rolling Performance Chart

Snail Trail Chart